As Archpope said, you could not have asked a more open-ended question.
You could just use a program like Nero to write only pertinent data to CD or DVD. Should your hard drive fail, this type of backup will still require you to install a new hard disk, re-install Windows and all other applications, and then copying the data back from CD or DVD.
Another solution would be to use Windows Backup, which can create a complete image of your hard disk. Should your disk fail and need replacing, you will still need to reload Windows in order to use Backup to perform a restore.
There is a third party solution: Acronis True Image. Like Windows Backup, you can use it to create a complete image of your hard disk. Restoring the disk in case of failure is easy. Just boot from the CD or DVD, and run the restore to get your computer back to the state it was in since your last backup, and then continue working as though nothing has changed.
You can get Acronis here:
Backup software for data backup and disaster recovery in Windows and Linux - Acronis
But again, it really just depends on how you want to be able to restore your data, and whether you want to be able to recover individual files (in case of accidental deletion) or if you want to create your own recovery disks.